臺灣博碩士論文加值系統

本文主要研究分析師在編制研究報告時是否有從眾行為，即是否會參考其他
分析師的研究報告。另外，本文也研究接收分析師資訊的投資人是否也會根據此
訊息而有從眾的投資行為。研究結果主要有三點，第一，分析師的目標價格的確
存有偏誤性，分析師多發佈樂觀的目標價格，然而分析師悲觀預期未來目標價格
時的準確性較高。第二，分析師對於企業樂觀預期時會降低從眾的行為，然而若
分析師過去有預估偏誤時，會為了避免為了的預測也有偏誤而選擇從眾。第三，
在存有從眾行為的台灣股市下，券商分析師的目標價格預估也是使投資人從眾行
為增加的變數之一。

The purpose of this paper is to find out whether the analysts have herding
behavior when they are forecasting the target prices. We also discuss whether the
investors who get the report will have herding behavior when they are investing.
There are three main results. First, most of the target prices have optimistic bias. The
accuracy of negative recommendation target price is better than the positive
recommendation target price. Second, when analysts forecast stock optimistically,
they will move away from the consensus forecast as they become more confident. But
if analysts have forecast error in the current quarter, they will herd from others. Third,
the investors in Taiwan are influenced by the target price bias when they are making
investment decisions.

中文摘要 ......................................................................................................................... i
英文摘要.......................................................................................................................... ii
目錄 ............................................................................................................................... iii
表目錄 ........................................................................................................................... iv
壹、 緒論........................................................................................................................1
貳、 文獻回顧................................................................................................................5
2.1 目標價格..........................................................................................................5
2.2 分析師預測偏誤............................................................................................. 6
2.3 分析師從眾行為............................................................................................. 8
2.4 股市從眾行為................................................................................................10
2.5 影響股市從眾行為之變數............................................................................13
參、 樣本與研究方法..................................................................................................16
第一節 樣本…………..................................................................................................16
第二節 研究方法………………………………..........................................................16
3.1 目標價格的偏誤.............................................................................................16
3.2 分析師是否有從眾行為.................................................................................18
3.3 目標價格是否影響股市變化........................................................................ 19
肆、 實證結果..............................................................................................................22
伍、 結論………………............................................................................................. 29
參考文獻........................................................................................................................30

1.Asquith, P., Mikhail, M. B. and Au, A.S. (2005), Information content of equity
analyst reports, Journal of Financial Economics, 75(2), 245-282.
2. Bilinski, P., Cumming, D., Hass, L., Stathopoulos, K. and Walker, M. (2015),
Strategic distortions in analyst target prices in the presence of short-term
institutional investors, working paper.
3. Bonini, S., Zanetti, L., R., and Salvi, A. (2010), Target price accuracy in equity
research. Journal of business Finance and Accounting, 37(9-10), 1177-1217.
4. Bradshaw, M.T. (2001), The use of target prices to justify sell-side analysts’
stock recommendations, working paper.
5. Bradshaw, M. T. and Brown, L. D. (2006), Do sell-side analysts exhibit
differential target price forecasting ability? working paper.
6. Bradshaw, M. T., Huang, A. and Tan, H. (2014), Analyst target price optimism
around the world, working paper.
7. Brav, A. and Lehavy, R. (2003), An empirical analysis of analysts’ target price:
short-term informativeness and long-term dynamics, The Journal of Finance,
58(5), 1933-1967.
8. Chang, E.C., Cheng, J.W. and Khorana, A. (2000), An examination of herd
behavior in equity markets: An international perspective, Journal of Banking &
Finance, 24, 1651-1679.
9. Chiang, T.C. and Zheng, D. (2010), An empirical analysis of herd behavior in
global stock markets, Journal of Banking & Finance 34, 1911-1921.
10. Christie, W.G. and Huang, R.D. (1995), Following the pied piper: Do individual
returns herd around the market? Financial Analysts Journal, 51(4), 31-37.
11. Clarkson, P., Nekrasov, A., Simon, A. and Tutticci, I. (2015), Target price
forecasts: Fundamental and non-fundamental factors, working paper.
12. Durand, R., Limkriangkrai, M. and Fung, L. (2014), The behavioral basis of
31
sell-side analysts’ herding, Journal of Contemporary Accounting & Economics,
10, 176-190.
13. Economou, F., Kostakis, A. and Philippas, N. (2011), Cross-country effects in
herding behaviour: Evidence from four south European markets, Int. Fin.
Markets, Inst. and Money, 21, 443-460.
14. Gebka, B. and Wohar, M.E. (2013), International herding: Does it differ across
sectors? Int. Fin. Markets, Inst. and Money, 23, 55- 84.
15. Gleason, C. A., Johnson, W. B. and Li, H. (2006), The earnings forecast accuracy,
valuation model use, and price target performance of sell-side equity analysts,
working paper.
16. Gleason, C. A., Johnson, W. B. and Li, H. (2013), Valuation model use and the
price target performance of sell-side equity analysts, Contemporary Accounting
Research, 30(1), 80-115.
17. Guttman, I. (2010), The timing of analysts’ earnings forecasts, Accounting
Review, 85, 513-545.
18. Hwang, S. and Salmon, M. (2004), Market stress and herding, Journal of
Empirical Finance, 11, 585-616.
19. Imam, S., Chen, J. and Shah, S. Z. A. (2013), Equity valuation models and target
price accuracy in Europe: Evidence from equity reports, International Review of
Financial Analysis, 28, 9-19.
20. Jegadeesh, N. and Kim, W. (2009), Do analysts herd? An analysis of
recommendations and market reactions, working paper.
21. Kim, Y., Lobo, G. J. and Song, M. (2011), Analyst characteristics, timing of
forecast revisions, and analyst forecasting ability, Journal of Banking & Finance,
35, 2158-2168.
22. Philippas, N., Economou, F., Babalos, V. and Kostakis, A. (2013), Herding
behavior in REITs: Novel tests and the role of financial crisis, International
Review of Financial Analysis, 29 (2013), 166-174.
Tan, L., Chiang, T.C., Mason, J.R. and Nelling, E. (2008), Herding behavior in
Chinese stock markets: An examination of A and B shares, Pacific-Basin Finance
Journal, 16, 61-77.
24. Trueman, B. (1994), Analyst forecasts and herding behavior, Review of Financial
Studies, 7(1), 97-124.